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¿Logra el modelo de Heston captar la dinámica de la volatilidad en los mercados de opciones sobre divisas mejor que el modelo de Garman y Kohlhagen? Un análisis para opciones sobre USD/EUR y PEN/USD

Marina Pando and Melissa Villanueva
Authors registered in the RePEc Author Service: Francisco B. Galarza ()

Chapter 10 in Economía aplicada: Ensayos de investigación económica 2013, 2014, vol. 1, pp 267-298 from Fondo Editorial, Universidad del Pacífico

Keywords: finanzas; modelo; Heston; volatilidad; mercados; opciones; divisas; Garman; Kohlhagen; tipo; cambio (search for similar items in EconPapers)
JEL-codes: G11 G17 (search for similar items in EconPapers)
Date: 2014
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